Support Board
Date/Time: Sat, 06 Dec 2025 03:32:05 +0000
Replay Trade Markers 10-20pts away from full-bodied candles; no visible thin liquidity
View Count: 12
| [2025-12-05 20:04:04] |
| Apollonia - Posts: 26 |
|
Hi SC team, During replay backtesting, I discovered that Sierra Chart can produce unrealistic fills when the trade (Last) feed updates faster than the quote (Bid/Ask) feed. In my case, a micro-ramp occurred between 15:21:12.485000-.485353, where the Last price climbed rapidly from ~22144 to ~22161 while the Bid/Ask quotes stayed frozen around 22144. I analyzed this via the tick by tick quote changes which captured millisecond changes. Because Sierra’s replay engine bases fills on quotes rather than Last trades, it filled my entry at the stale quote price even though the real market had already moved much higher - resulting in a fill plotted far below or above the candles. Please see attached for 3 examples; it’s happened 6 times across only a span of 10 days, each time benefiting my position unrealistically. I wanted to ask if my interpretation is correct; is this a feed-timing limitation, where quote latency causes replay fills to appear unrealistic? I do not think it is a true gap in the liquidity and believe I am using the correct tick data storage (1-tick) and replay settings (defaulted; slow accurate replay; simulate bid/ask). Thank you |
 Example 1.png / V - Attached On 2025-12-05 20:00:18 UTC - Size: 4.73 KB - 5 views Example 2.png / V - Attached On 2025-12-05 20:00:23 UTC - Size: 1.42 KB - 6 views Example 3.png / V - Attached On 2025-12-05 20:00:26 UTC - Size: 4.71 KB - 4 views |
To post a message in this thread, you need to log in with your Sierra Chart account: